On the effect of prior assumptions in Bayesian model averaging with applications to growth regression / Eduardo Ley, Mark F.J. Steel Steel, Mark F. J

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Steel, Mark F. J
Regression analysis.; Econometric models.; Bayesian statistical decision theory.
This paper examines the problem of variable selection in linear regression models. Bayesian model averaging has become an important tool in empirical settings with large numbers of potential regressors and relatively limited numbers of observations. The paper analyzes the effect of a variety of prior assumptions on the inference concerning model size, posterior inclusion probabilities of regressors, and predictive performance. The analysis illustrates these issues in the context of cross-country growth regressions using three datasets with 41 to 67 potential drivers of growth and 72 to 93 observations. The results favor particular prior structures for use in this and related contexts.
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